How Sure are We about PPP?: Panel Evidence with the Null of Stationary Real Exchange Rates |
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account for cross-sectional allowing for cross-sectional alternative AR(p asymptotic critical values autocovariances best fitting Centre for Economic CEPR covariance matrix cross-sectional dependence arising current float deviations from PPP Discussion Papers distribution dollar Econometrics Economic Policy Research empirical equilibrium real exchange error covariance matrix exchange rate regimes finite sample heteroscedasticity International Money Jean Tirole Journal of International Koedijk Levin Lothian MacDonald Money and Finance NH test non-parametric NULL OF STATIONARY null of unit Nyblom and Harvey Panel Data panel of real panel studies panel unit root panel version parametric correction Parametric estimation purchasing power parity pwr1 pwr2 p-val pwr2 p-val pwr1 real exchange rates real rate regime changes Rogoff sample critical values sample statistic serial correlation simulations small sample critical stationarity stationary process STATIONARY REAL EXCHANGE support for PPP t-val Table test for stationarity testing of PPP treatment of serial unit root tests